Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | NA | NA | NA |
| Score | NA | NA | NA |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.19 | 0.18 | 0.18 |
| Idiosyncratic Volatility | 0.49 | 0.45 | 0.48 |
Annualized return and volatility
| NBMTX | |
|---|---|
| Annualized Return | 0.0566 |
| Annualized Std Dev | 0.2344 |
| Annualized Sharpe (Rf=0%) | 0.2413 |
Row
Daily Return Statistics
| NBMTX | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1016 |
| Quartile 1 | -0.0063 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0074 |
| Maximum | 0.1001 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.1114 |
| Kurtosis | 5.1464 |
Downside Risk
| NBMTX | |
|---|---|
| Semi Deviation | 0.0107 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0113 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.7213 |
| Historical VaR (95%) | -0.0238 |
| Historical ES (95%) | -0.0355 |
| Modified VaR (95%) | -0.0229 |
| Modified ES (95%) | -0.0375 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-03-13 | 2002-10-09 | 2012-05-02 | -0.7213 | 3107 | 658 | 2449 |
| 2015-08-06 | 2016-02-08 | 2017-03-01 | -0.2608 | 400 | 130 | 270 |
| 2018-08-30 | 2018-12-24 | 2019-05-03 | -0.2502 | 172 | 82 | 90 |
| 2014-03-05 | 2014-10-13 | 2014-11-06 | -0.1110 | 176 | 157 | 19 |
| 2012-05-03 | 2012-07-24 | 2013-01-15 | -0.1096 | 180 | 58 | 122 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | NBMTX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 2.2 | 1.9 | 0.0 | 2.0 | 6.3 | 0.0 | -0.5 | 1.1 | 0.0 | 1.0 | 4.0 | 0.0 | 19.2 |
| 2001 | -1.4 | -0.1 | 0.0 | 0.7 | 2.1 | 0.0 | 0.5 | 0.0 | -1.1 | 2.2 | 0.0 | 0.0 | 2.9 |
| 2002 | -0.4 | 3.2 | 0.5 | 0.4 | 0.0 | -3.9 | -3.5 | 0.0 | 2.0 | 2.1 | 0.0 | 0.0 | 0.2 |
| 2003 | 0.0 | 0.0 | 0.6 | 0.1 | 0.0 | 0.6 | -1.1 | 0.0 | 2.1 | 0.0 | 1.4 | 0.0 | 3.8 |
| 2004 | 0.0 | 1.7 | 0.6 | 0.0 | 0.4 | -0.9 | 0.0 | 0.8 | 1.2 | -0.1 | 1.4 | 0.0 | 5.1 |
| 2005 | 0.3 | 0.5 | -0.4 | 0.0 | 0.4 | 0.5 | 0.3 | 0.2 | 0.0 | 0.1 | 1.9 | 0.0 | 3.7 |
| 2006 | 0.2 | 1.7 | 0.0 | -0.4 | 1.8 | 0.0 | -1.3 | 0.6 | 0.0 | -0.9 | -0.3 | 0.0 | 1.4 |
| 2007 | 0.8 | -0.3 | 0.0 | 0.1 | 0.2 | 0.0 | 0.1 | 0.0 | 1.6 | -2.0 | 0.0 | 0.0 | 0.6 |
| 2008 | 2.3 | 0.0 | 3.3 | 0.9 | 0.0 | 0.3 | -0.1 | 0.0 | -1.5 | 0.0 | -9.0 | 0.0 | -4.1 |
| 2009 | 0.0 | 0.0 | 0.6 | -0.3 | 3.0 | -0.3 | 0.0 | -1.9 | -2.8 | 0.0 | 1.5 | 0.0 | -0.2 |
| 2010 | 1.7 | 1.5 | 0.8 | 0.0 | -1.7 | -0.3 | 0.0 | 3.1 | 0.1 | -0.2 | 2.2 | 0.0 | 7.4 |
| 2011 | 1.4 | -1.8 | 0.7 | 0.0 | -2.4 | 1.6 | -0.9 | -1.3 | 0.0 | -2.5 | 0.0 | 0.0 | -5.1 |
| 2012 | 1.4 | 1.0 | 0.0 | 0.6 | -3.3 | 0.0 | -0.9 | 0.0 | 0.0 | 1.4 | 0.0 | 0.0 | 0.3 |
| 2013 | 1.2 | 0.3 | -1.1 | -1.3 | 0.0 | 1.3 | 2.1 | 0.0 | 1.3 | 0.0 | 0.0 | 0.0 | 3.9 |
| 2014 | 0.0 | 0.0 | 1.5 | 0.2 | 0.0 | 1.0 | -0.6 | 0.0 | -1.7 | 0.0 | -1.6 | 0.0 | -1.2 |
| 2015 | 0.0 | 0.0 | -0.8 | 1.1 | 0.2 | 0.7 | 0.0 | -2.6 | 0.3 | 0.0 | 0.7 | 0.0 | -0.6 |
| 2016 | 0.3 | 2.4 | 0.9 | 0.0 | 0.5 | 0.2 | -0.2 | 0.4 | 0.0 | -0.7 | -1.3 | 0.0 | 2.5 |
| 2017 | 0.0 | 1.3 | 0.0 | 0.2 | 1.4 | 0.0 | 0.2 | 0.2 | 0.0 | -0.5 | -0.5 | 0.0 | 2.4 |
| 2018 | 0.3 | -1.0 | 0.0 | 0.5 | 1.4 | 0.0 | 0.0 | 0.0 | -0.5 | 1.9 | 0.0 | 0.0 | 2.5 |
| 2019 | 0.8 | 0.7 | 1.2 | -0.9 | 0.0 | 0.8 | -1.1 | 0.0 | -1.2 | 1.3 | 0.0 | 0.1 | 1.6 |
Row
Rolling Performance Chart
Snail Trail Chart
